how do i make wmv loop?

I have a small movie on mpg and i want to make it loop, play over and over, in any standard picture viewer. Normally I use a viewer called ACDC (not the band) and it will play animated gifs in a loop. I dont know how to take this mpg and make it an animated gif. I've exported the mpg as an avi file and as a wmv file but cant figure out how to make either of them loop. Can anyone give me any help? Thanks

I have used this guide.
I loaded the mpg file and had Virtualdub save the clip as BMP files (I didn't bother to decimate the frames, but it would cut down on the size) and I didn't resize the frames either.
Then I used IrfanView to convert the frames to GIF and 'Unfreeze' to animate.
I use IrfanView as my picture viewer and it worked ok.